Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244361 
Authors: 
Year of Publication: 
2021
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 32-2021
Publisher: 
Philipps-University Marburg, School of Business and Economics, Marburg
Abstract: 
The contribution of this paper is twofold. First, we introduce a daily vector autoregression (VAR) model for the US economy that allows discerning between lockdown shocks and a real business cycle shocks. With this methodology at hand, we then evaluate the impact of lockdown measures on economic uncertainty in a second step. Overall, we only find a moderate positive impact on uncertainty levels that is, in particular, weaker than the impact of the real business cycle shock. Taking a more granular perspective, we observe that in particular uncertainty related to entitlement programs increases and monetary policy uncertainty decreases after a lockdown shock.
Subjects: 
COVID-19
lockdown
shock identification
market uncertainty
JEL: 
E60
E62
E65
G01
Document Type: 
Working Paper

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